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Appreciate it! You know: let's say today I have Nov 10 's data in a .txt file, can I easily import these? That's the issue.

Yes it looks good but the trial version features are very limited and unable to clear up this specific issue for me. Thanks for your note.

Anyone using the hoadley XL add-in? Is it possible/easy to import historical *options* data? For example to analyze a vol. surface of some time ago? Seems obvious, but I emailed hoadley and he came right back at me calling me a tyre kicker and time waster, so I’m starting to have my doubts...

In my opinion that formula is incorrect, or incomplete. The basis of the formula, I assume, is the equation Vol2^2 = (Vol1^2*T1 + Vol3^2*T3 )/T2 + ((M1–M2)^2*T1 + (M3–M2)^2*T3)/T2 I couldn’t find a quick web reference but it is standard statistics stuff. Here I write Vol...

Grant, When you write SQRT(a)/b then of course b is not included in SQRT. Your earlier forvol formula also is not correct. It should be: Forward vol = SQRT((IV2^2*T2-IV1^2*T1)/(T2-T1)) so SQRT(a/b). It seems you did translate the wrong formula correctly into XL. In never...

Grant, in both formulas in cells B3 and B8 you have SQRT and parens a bit messed up. B3 should be: =SQRT((E2^2*C2-D2^2*B2)/(C2-B2)) (B3 just happens to turn out correct because denominator = 1 in your example)

miscalc: forward vol = 7.94%

That’s correct. I recently asked about this in the IQFeed forum: http://forums.iqfeed.net/index.cfm?page=topic&topicID=1121 (3rd post and down) Unfortunately no way to de-link after-market downloads and RT feed, price-wise. In fact I still didn’t try it out so I’m not sure...

Thanks for bringing me up to date on this. Unfortunately one cannot just hit the bid or lift the ask. Will a (SMART?) market order be executed against the penny bid/offer? EDIT: apparently one can from the OptionTrader page.

I recently asked the OCC for a complete list of expiration cycles (of all optionable stocks). Much to my surprise there isn't such a list, except for leaps where, as they informed me, they put them on manually: http://theocc.com/market/leaps.jsp I guess anyone subscribed to a bulk...

Here are recent contract adjustments: http://theocc.com/market/infomemos/info_memos_form.jsp 3-2 splits in particular usually result in 150 multiplier and weird strikes like 5/8 (= 0.63) : http://www.optionsclearing.com/market/infomemos/2006/may/21773.pdf

Thanks def, that’s very interesting. In view of this I agree with MTE that the open/close data seems quite reliable. The question of what % of trades is ultimately represented here is something I will check out by comparing with the total number of trades. On a separate note, I assume...

Those would be the ones that provide the truly reliable open/close data. I will check with IB if indeed the software does this. This I find very intriguing. If the software checks what you specify then why would it ask you to specify in the first place? Why not automate it from the start...

Thanks MTE. I’m sure you are correct about the clearing house having the info but I don’t think this is CBOE’s source. They literally informed me: “The open/close is a field that is filled in on orders, I will tell you that is not a required field so if it's blank on an order it's...

The new CBOE data service provides “Open/Close” data, previously not available to the public. This data separates transactions into open buys, open sells, close buys and close sells, and further separates into firm/customer. Here’s a sample (I think it chooses a random date)...

a search for "spin-off" in http://theocc.com/market/infomemos/info_memos_form.jsp will give some examples of what *might* happen. http://www.optionsclearing.com/market/infomemos/2006/jan/21332.pdf gives an overall description of the current adjustment methods. good luck, it'll...

Serious limitation is that $600 only reports CBOE transactions, which is about 30% of stock options volume (referring to the “Open Close” data where the assumed valuable information is). I wish it were the combined of all exchanges or at least had ISE included (still at $600, of course).

I am not with optionsxpress so cannot log in, but if you refer to this info http://optionsxpress.com/educate/opt_symbols.aspx#weekly then you don’t stand a chance. If there’s contract-specific info in the member section that clearly states Thursday as expiration day I think you...

I think weeklys expire on Friday http://cboe.com/Products/indexopts/weekly_XSP_spec.aspx and were settled at 1288.95. http://cboe.com/Data/WeeklysSettlements.aspx They are cash-settled so they were indeed exercised.

Good point freehouse. If there’s no symbol change like in 2-1 splits, OI will double. Additional exercise will in fact somewhat lessen the damage but the thing is messed up for sure. (If there’s a symbol change like in 3-2 splits this won’t happen because these are essentially new...